Saturn. It was the first SEGA console I bought for myself, along with the 32X. I bought 'em both when they retired. However, the Saturn get's my attention more so than any other console on my shelf. I love the plethora of arcade ports, like Virtua Fighter 2, Virtua Cop, X-Men vs Street Fighter, Marvel Super Heroes vs Street Fighter, Metal Slug, Elevator Action 2: The Return and the list goes on. That reminds; it's very import-friendly. Saturn has my favorite versions of Bio Hazard and Dracula X: Nocturne in the Moonlight. Not to mention its many exclusives, such as Panzer Dragoon Saga, Deep Fear and Die Hard Arcade. In addition, the controller's still my favorite. To top it all off, it even has VCD playback.
I'm not the biggest fan of the Dreamcast. Yes, it has great graphics and sound capabilities, as well as the ability to play VCDs. Still, I have more issues with that thing than any SEGA console that came before, thanks to faulty lasers and GD-ROMs. The VMU is awesome, but it eats through batteries far too quickly. The controller's fine with the exception of the D-pad and face-button layout. I've never been a fan of the "cross" design. The face-button layout irritates me whenever I try to play a fighting game. Admittedly, it has some of my favorite games, but it doesn't have as many as Saturn for me.
Don't get me wrong; I love all my SEGA consoles, but I favor Saturn. Runner's up would be Genesis (SEGA CD/32X), Master System and Game Gear. I've never played the SG-1000, so I can't say on that one.